Because the area is currently colder than average or optimal for human habitation and agriculture.
Colder climates make Scandinavian peninsula uninhabitable (e.g. as it was during Weichselian glaciation) and local warming would likely even be helpful for the long-term habitability and agriculture of that particular region (unlike the much more populated areas in warmer climates), the costs and risks for Nordic countries mainly come from the change as such, requiring adaptation.
The Norse people who were living in the northern parts of modern Norway would probably prefer if these lands had the climate of current Oslo area or Denmark, not fear that.
Isn't it obvious? Winters in Scandinavia are dark and cold and nothing grows. A winter lasting multiple years would lead to starvation, so basically the end of the world. Especially if the sun and moon was eaten by a wolf.
But according to Völuspá, after the Fimbul winter there will be a big battle and the fire giant Surt will set the world on fire with his flaming sword. So you get both ice and fire!